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SGI Vol Invest Vega Neutral

Index level: 670.77 as of 16/08/2019

Graph

For comparison purpose Index level basis 100 as of

Statistics

1 M 6 M YTD 1 Y 3 Y
Cumulative Performance -2.68 % -0.06 % -4.05 % -4.32 % -15.58 %
Annualized Performance -4.32 % -5.49 %
Annualized Volatility +16.31 % +8.55 % +8.11 % +7.84 % +7.53 %
Sharpe Ratio -0.55 -0.73
Max Drawdown -5.11 % -5.54 % -5.78 % -7.42 % -19.05 %

The SGI Vol Invest Vega Neutral has been backtested since 11/12/2006 and calculated since 05/10/2012.
THE FIGURES RELATING TO PAST PERFORMANCES AND SIMULATED PAST PERFORMANCES REFER OR RELATE TO PAST PERIODS AND ARE NOT A RELIABLE INDICATOR OF FUTURE RESULTS. THIS ALSO APPLIES TO HISTORICAL MARKET DATA.


The SGI Vol Invest Vega Neutral Index (The “Index”) is the property of SG, which has contracted with S&P Opco, LLC (a subsidiary of S&P Dow Jones Indices LLC) (“S&P Dow Jones Indices”) to maintain and calculate the Index. S&P® is a registered trademarks of Standard & Poor’s Financial Services LLC (“SPFS”); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”) and these trademarks have been licensed to S&P Dow Jones Indices. “Calculated by S&P Dow Jones Indices Custom” and its related stylized mark(s) are service marks of S&P Dow Jones Indices and have been sublicensed for certain purposes by SG. Neither S&P Dow Jones Indices, SPFS, Dow Jones nor any of their affiliates shall be liable for any errors or omissions in calculating the Index. The S&P 500® Total Return index is the exclusive property of S&P and the CBOE Volatility Index® (the VIX®) is the property of the Chicago Board Options Exchange, Incorporated. The S&P 500® Total Return index and the VIX® have been licensed for use by SG in connection with the Index.
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